FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2146335013> ?p ?o ?g. }

• W2146335013 endingPage "27" @default.
• W2146335013 startingPage "1" @default.
• W2146335013 abstract "We extend the class of M-tests for a unit root analyzed by Perron and Ng (Rev. Econ. Studies 63 (1996) 435) and Ng and Perron (Econometrica 69 (2001) 1519) to the case where a change in the trend function is allowed to occur at an unknown time. These tests (MGLS) adopt the GLS detrending approach developed by Elliott et al. (Econometrica 64 (1996) 813) (ERS) following the results of Dufour and King (J. Econometrics 47 (1991) 115). Following Perron (Econometrica 57 (1989) 1361), we consider two models: one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distributions of the tests as well as that of the feasible point optimal test (PTGLS) suggested by ERS. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the test PTGLS to have 50% asymptotic power at that value. The asymptotic critical values of the tests are tabulated. We show that the MGLS and PTGLS tests have an asymptotic power function close to the power envelope. A simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided." @default.
• W2146335013 created "2016-06-24" @default.
• W2146335013 creator A5017831058 @default.
• W2146335013 creator A5077831597 @default.
• W2146335013 date "2003-07-01" @default.
• W2146335013 modified "2023-09-23" @default.
• W2146335013 title "GLS detrending, efficient unit root tests and structural change" @default.
• W2146335013 cites W1534100182 @default.
• W2146335013 cites W1582394249 @default.
• W2146335013 cites W1852024677 @default.
• W2146335013 cites W1967031021 @default.
• W2146335013 cites W1990981316 @default.
• W2146335013 cites W2016363046 @default.
• W2146335013 cites W2038532793 @default.
• W2146335013 cites W2041002871 @default.
• W2146335013 cites W2061677737 @default.
• W2146335013 cites W2078955346 @default.
• W2146335013 cites W2085591763 @default.
• W2146335013 cites W2097580026 @default.
• W2146335013 cites W2116388354 @default.
• W2146335013 cites W2117922789 @default.
• W2146335013 cites W2124120883 @default.
• W2146335013 cites W2144452471 @default.
• W2146335013 cites W2149292156 @default.
• W2146335013 cites W2166490115 @default.
• W2146335013 cites W2169107902 @default.
• W2146335013 cites W2263785007 @default.
• W2146335013 cites W3123008909 @default.
• W2146335013 cites W3126103630 @default.
• W2146335013 cites W4230644069 @default.
• W2146335013 cites W4234860985 @default.
• W2146335013 cites W4240224771 @default.
• W2146335013 cites W4293098276 @default.
• W2146335013 doi "https://doi.org/10.1016/s0304-4076(03)00090-3" @default.
• W2146335013 hasPublicationYear "2003" @default.
• W2146335013 type Work @default.
• W2146335013 sameAs 2146335013 @default.
• W2146335013 citedByCount "160" @default.
• W2146335013 countsByYear W21463350132012 @default.
• W2146335013 countsByYear W21463350132013 @default.
• W2146335013 countsByYear W21463350132014 @default.
• W2146335013 countsByYear W21463350132015 @default.
• W2146335013 countsByYear W21463350132016 @default.
• W2146335013 countsByYear W21463350132017 @default.
• W2146335013 countsByYear W21463350132018 @default.
• W2146335013 countsByYear W21463350132019 @default.
• W2146335013 countsByYear W21463350132020 @default.
• W2146335013 countsByYear W21463350132021 @default.
• W2146335013 countsByYear W21463350132022 @default.
• W2146335013 countsByYear W21463350132023 @default.
• W2146335013 crossrefType "journal-article" @default.
• W2146335013 hasAuthorship W2146335013A5017831058 @default.
• W2146335013 hasAuthorship W2146335013A5077831597 @default.
• W2146335013 hasBestOaLocation W21463350132 @default.
• W2146335013 hasConcept C105795698 @default.
• W2146335013 hasConcept C106195933 @default.
• W2146335013 hasConcept C134306372 @default.
• W2146335013 hasConcept C14036430 @default.
• W2146335013 hasConcept C144341231 @default.
• W2146335013 hasConcept C145162277 @default.
• W2146335013 hasConcept C149782125 @default.
• W2146335013 hasConcept C159877910 @default.
• W2146335013 hasConcept C16757182 @default.
• W2146335013 hasConcept C168110828 @default.
• W2146335013 hasConcept C185429906 @default.
• W2146335013 hasConcept C194531419 @default.
• W2146335013 hasConcept C195561663 @default.
• W2146335013 hasConcept C28826006 @default.
• W2146335013 hasConcept C31258907 @default.
• W2146335013 hasConcept C33923547 @default.
• W2146335013 hasConcept C41008148 @default.
• W2146335013 hasConcept C65778772 @default.
• W2146335013 hasConcept C75778745 @default.
• W2146335013 hasConcept C78458016 @default.
• W2146335013 hasConcept C86803240 @default.
• W2146335013 hasConcept C87007009 @default.
• W2146335013 hasConceptScore W2146335013C105795698 @default.
• W2146335013 hasConceptScore W2146335013C106195933 @default.
• W2146335013 hasConceptScore W2146335013C134306372 @default.
• W2146335013 hasConceptScore W2146335013C14036430 @default.
• W2146335013 hasConceptScore W2146335013C144341231 @default.
• W2146335013 hasConceptScore W2146335013C145162277 @default.
• W2146335013 hasConceptScore W2146335013C149782125 @default.
• W2146335013 hasConceptScore W2146335013C159877910 @default.
• W2146335013 hasConceptScore W2146335013C16757182 @default.
• W2146335013 hasConceptScore W2146335013C168110828 @default.
• W2146335013 hasConceptScore W2146335013C185429906 @default.
• W2146335013 hasConceptScore W2146335013C194531419 @default.
• W2146335013 hasConceptScore W2146335013C195561663 @default.
• W2146335013 hasConceptScore W2146335013C28826006 @default.
• W2146335013 hasConceptScore W2146335013C31258907 @default.
• W2146335013 hasConceptScore W2146335013C33923547 @default.
• W2146335013 hasConceptScore W2146335013C41008148 @default.
• W2146335013 hasConceptScore W2146335013C65778772 @default.
• W2146335013 hasConceptScore W2146335013C75778745 @default.
• W2146335013 hasConceptScore W2146335013C78458016 @default.
• W2146335013 hasConceptScore W2146335013C86803240 @default.
• W2146335013 hasConceptScore W2146335013C87007009 @default.

• next